{
 "metadata": {
  "signature": "sha256:9a59b9a3bf170b41162887f278afc9767d008d8fee4eaa4ae437b91fb7217904"
 },
 "nbformat": 3,
 "nbformat_minor": 0,
 "worksheets": [
  {
   "cells": [
    {
     "cell_type": "markdown",
     "id": "178F6914BC8C495E8DE7D6AA7AC1FE97",
     "metadata": {},
     "source": [
      "5.1  \u56de\u6d4b\u5e73\u53f0\u51fd\u6570\u4e0e\u53c2\u6570\u4ecb\u7ecd\n",
      "----------------------------------"
     ]
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "id": "EEDB7C6E8C114DB39769C46B72DF9EAB",
     "input": [
      "universe = ['000001.XSHE', '600000.XSHG']\t\t\t\t# \u9759\u6001\u8bc1\u5238\u6c60\n",
      "universe = set_universe('HS300', date='2016-03-01')\t# \u9759\u6001\u8bc1\u5238\u6c60\n",
      "universe = DynamicUniverse('HS300')\t\t\t\t\t# \u52a8\u6001\u8bc1\u5238\u6c60\n",
      "universe = StockScreener(Factor.PE.nlarge(10))\t\t\t# \u52a8\u6001\u8bc1\u5238\u6c60"
     ],
     "language": "python",
     "metadata": {},
     "outputs": []
    },
    {
     "cell_type": "code",
     "collapsed": true,
     "id": "820AAB1C1ED544EC9070ACA2979B2DAC",
     "input": [
      "set_universe('HS300')\t# \u8868\u793a\u6caa\u6df1300\u7684\u5b57\u7b26\u4e32"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 13,
       "text": [
        "['000001.XSHE',\n",
        " '000002.XSHE',\n",
        " '000060.XSHE',\n",
        " '000063.XSHE',\n",
        " '000069.XSHE',\n",
        " '000157.XSHE',\n",
        " '000402.XSHE',\n",
        " '000425.XSHE',\n",
        " '000568.XSHE',\n",
        " '000625.XSHE',\n",
        " '000630.XSHE',\n",
        " '000651.XSHE',\n",
        " '000709.XSHE',\n",
        " '000792.XSHE',\n",
        " '000858.XSHE',\n",
        " '600000.XSHG',\n",
        " '600009.XSHG',\n",
        " '600010.XSHG',\n",
        " '600015.XSHG',\n",
        " '600016.XSHG',\n",
        " '600019.XSHG',\n",
        " '600028.XSHG',\n",
        " '600029.XSHG',\n",
        " '600030.XSHG',\n",
        " '600031.XSHG',\n",
        " '600036.XSHG',\n",
        " '600050.XSHG',\n",
        " '600085.XSHG',\n",
        " '600100.XSHG',\n",
        " '600104.XSHG',\n",
        " '600153.XSHG',\n",
        " '600170.XSHG',\n",
        " '600177.XSHG',\n",
        " '600188.XSHG',\n",
        " '600196.XSHG',\n",
        " '600221.XSHG',\n",
        " '600309.XSHG',\n",
        " '600362.XSHG',\n",
        " '600519.XSHG',\n",
        " '600583.XSHG',\n",
        " '600585.XSHG',\n",
        " '600649.XSHG',\n",
        " '600660.XSHG',\n",
        " '600690.XSHG',\n",
        " '600739.XSHG',\n",
        " '600741.XSHG',\n",
        " '600795.XSHG',\n",
        " '600900.XSHG',\n",
        " '000538.XSHE',\n",
        " '002024.XSHE',\n",
        " '000768.XSHE',\n",
        " '600383.XSHG',\n",
        " '600271.XSHG',\n",
        " '600415.XSHG',\n",
        " '601988.XSHG',\n",
        " '601006.XSHG',\n",
        " '601398.XSHG',\n",
        " '600048.XSHG',\n",
        " '600066.XSHG',\n",
        " '600068.XSHG',\n",
        " '600118.XSHG',\n",
        " '600489.XSHG',\n",
        " '600547.XSHG',\n",
        " '601111.XSHG',\n",
        " '601628.XSHG',\n",
        " '601166.XSHG',\n",
        " '601318.XSHG',\n",
        " '601600.XSHG',\n",
        " '601998.XSHG',\n",
        " '601328.XSHG',\n",
        " '000876.XSHE',\n",
        " '600208.XSHG',\n",
        " '600837.XSHG',\n",
        " '601333.XSHG',\n",
        " '601088.XSHG',\n",
        " '601857.XSHG',\n",
        " '000338.XSHE',\n",
        " '000423.XSHE',\n",
        " '000895.XSHE',\n",
        " '002142.XSHE',\n",
        " '600089.XSHG',\n",
        " '600109.XSHG',\n",
        " '600111.XSHG',\n",
        " '601009.XSHG',\n",
        " '601169.XSHG',\n",
        " '000686.XSHE',\n",
        " '000728.XSHE',\n",
        " '000783.XSHE',\n",
        " '002202.XSHE',\n",
        " '600804.XSHG',\n",
        " '601390.XSHG',\n",
        " '601601.XSHG',\n",
        " '601866.XSHG',\n",
        " '601939.XSHG',\n",
        " '000100.XSHE',\n",
        " '000623.XSHE',\n",
        " '600588.XSHG',\n",
        " '600674.XSHG',\n",
        " '601186.XSHG',\n",
        " '601899.XSHG',\n",
        " '601958.XSHG',\n",
        " '600352.XSHG',\n",
        " '600518.XSHG',\n",
        " '601766.XSHG',\n",
        " '002007.XSHE',\n",
        " '600369.XSHG',\n",
        " '601618.XSHG',\n",
        " '601668.XSHG',\n",
        " '002304.XSHE',\n",
        " '600999.XSHG',\n",
        " '601607.XSHG',\n",
        " '601688.XSHG',\n",
        " '601888.XSHG',\n",
        " '601989.XSHG',\n",
        " '601288.XSHG',\n",
        " '000776.XSHE',\n",
        " '002146.XSHE',\n",
        " '002385.XSHE',\n",
        " '002415.XSHE',\n",
        " '600115.XSHG',\n",
        " '600276.XSHG',\n",
        " '600406.XSHG',\n",
        " '600535.XSHG',\n",
        " '600703.XSHG',\n",
        " '600887.XSHG',\n",
        " '600893.XSHG',\n",
        " '601818.XSHG',\n",
        " '002500.XSHE',\n",
        " '601018.XSHG',\n",
        " '601118.XSHG',\n",
        " '601377.XSHG',\n",
        " '601933.XSHG',\n",
        " '002594.XSHE',\n",
        " '600372.XSHG',\n",
        " '000725.XSHE',\n",
        " '002081.XSHE',\n",
        " '002241.XSHE',\n",
        " '600827.XSHG',\n",
        " '601336.XSHG',\n",
        " '601555.XSHG',\n",
        " '601633.XSHG',\n",
        " '601669.XSHG',\n",
        " '601901.XSHG',\n",
        " '000750.XSHE',\n",
        " '002236.XSHE',\n",
        " '002673.XSHE',\n",
        " '600157.XSHG',\n",
        " '600340.XSHG',\n",
        " '600637.XSHG',\n",
        " '600886.XSHG',\n",
        " '601800.XSHG',\n",
        " '000963.XSHE',\n",
        " '002450.XSHE',\n",
        " '600332.XSHG',\n",
        " '603993.XSHG',\n",
        " '000333.XSHE',\n",
        " '000826.XSHE',\n",
        " '002065.XSHE',\n",
        " '002230.XSHE',\n",
        " '002456.XSHE',\n",
        " '600008.XSHG',\n",
        " '600018.XSHG',\n",
        " '600663.XSHG',\n",
        " '600688.XSHG',\n",
        " '600705.XSHG',\n",
        " '000413.XSHE',\n",
        " '000503.XSHE',\n",
        " '002008.XSHE',\n",
        " '002252.XSHE',\n",
        " '002292.XSHE',\n",
        " '002465.XSHE',\n",
        " '002470.XSHE',\n",
        " '002475.XSHE',\n",
        " '600023.XSHG',\n",
        " '601216.XSHG',\n",
        " '601225.XSHG',\n",
        " '000559.XSHE',\n",
        " '002153.XSHE',\n",
        " '300017.XSHE',\n",
        " '300024.XSHE',\n",
        " '300027.XSHE',\n",
        " '300070.XSHE',\n",
        " '300124.XSHE',\n",
        " '300251.XSHE',\n",
        " '600038.XSHG',\n",
        " '600373.XSHG',\n",
        " '600485.XSHG',\n",
        " '600570.XSHG',\n",
        " '601727.XSHG',\n",
        " '000166.XSHE',\n",
        " '000738.XSHE',\n",
        " '002736.XSHE',\n",
        " '300059.XSHE',\n",
        " '600958.XSHG',\n",
        " '601021.XSHG',\n",
        " '601099.XSHG',\n",
        " '601788.XSHG',\n",
        " '601919.XSHG',\n",
        " '000415.XSHE',\n",
        " '000540.XSHE',\n",
        " '002739.XSHE',\n",
        " '300144.XSHE',\n",
        " '300315.XSHE',\n",
        " '600021.XSHG',\n",
        " '600820.XSHG',\n",
        " '600895.XSHG',\n",
        " '600959.XSHG',\n",
        " '601198.XSHG',\n",
        " '601211.XSHG',\n",
        " '601608.XSHG',\n",
        " '601718.XSHG',\n",
        " '601872.XSHG',\n",
        " '601985.XSHG',\n",
        " '001979.XSHE',\n",
        " '000839.XSHE',\n",
        " '002027.XSHE',\n",
        " '002424.XSHE',\n",
        " '600061.XSHG',\n",
        " '600074.XSHG',\n",
        " '600376.XSHG',\n",
        " '600606.XSHG',\n",
        " '600685.XSHG',\n",
        " '600704.XSHG',\n",
        " '600816.XSHG',\n",
        " '600871.XSHG',\n",
        " '000008.XSHE',\n",
        " '000627.XSHE',\n",
        " '000671.XSHE',\n",
        " '000938.XSHE',\n",
        " '000983.XSHE',\n",
        " '002074.XSHE',\n",
        " '002174.XSHE',\n",
        " '002310.XSHE',\n",
        " '002426.XSHE',\n",
        " '002466.XSHE',\n",
        " '002714.XSHE',\n",
        " '002797.XSHE',\n",
        " '300033.XSHE',\n",
        " '300072.XSHE',\n",
        " '600297.XSHG',\n",
        " '600482.XSHG',\n",
        " '600498.XSHG',\n",
        " '601155.XSHG',\n",
        " '601611.XSHG',\n",
        " '601877.XSHG',\n",
        " '600549.XSHG',\n",
        " '000959.XSHE',\n",
        " '000961.XSHE',\n",
        " '002044.XSHE',\n",
        " '002352.XSHE',\n",
        " '002411.XSHE',\n",
        " '002508.XSHE',\n",
        " '002555.XSHE',\n",
        " '002558.XSHE',\n",
        " '002602.XSHE',\n",
        " '002831.XSHE',\n",
        " '002839.XSHE',\n",
        " '002841.XSHE',\n",
        " '600233.XSHG',\n",
        " '600436.XSHG',\n",
        " '600522.XSHG',\n",
        " '600682.XSHG',\n",
        " '600909.XSHG',\n",
        " '600919.XSHG',\n",
        " '600926.XSHG',\n",
        " '600977.XSHG',\n",
        " '601117.XSHG',\n",
        " '601163.XSHG',\n",
        " '601229.XSHG',\n",
        " '601375.XSHG',\n",
        " '601881.XSHG',\n",
        " '601966.XSHG',\n",
        " '601992.XSHG',\n",
        " '601997.XSHG',\n",
        " '603160.XSHG',\n",
        " '603858.XSHG',\n",
        " '000723.XSHE',\n",
        " '000898.XSHE',\n",
        " '002294.XSHE',\n",
        " '002460.XSHE',\n",
        " '002468.XSHE',\n",
        " '002572.XSHE',\n",
        " '002601.XSHE',\n",
        " '002608.XSHE',\n",
        " '002624.XSHE',\n",
        " '300003.XSHE',\n",
        " '300015.XSHE',\n",
        " '300122.XSHE',\n",
        " '300136.XSHE',\n",
        " '600011.XSHG',\n",
        " '600219.XSHG',\n",
        " '600390.XSHG',\n",
        " '601012.XSHG',\n",
        " '601212.XSHG',\n",
        " '601228.XSHG',\n",
        " '601878.XSHG',\n",
        " '601898.XSHG',\n",
        " '601991.XSHG',\n",
        " '603799.XSHG',\n",
        " '603833.XSHG']"
       ]
      }
     ]
    },
    {
     "cell_type": "code",
     "collapsed": true,
     "id": "6FE4DEE476724834BE26C012CB977B08",
     "input": [
      "set_universe(IndSW.YinHangL2)\t# \u884c\u4e1a\u5206\u7c7b\u5b9e\u4f8bIndSW\uff0c\u7533\u4e07\u884c\u4e1a\uff1bYinHangL2\uff0c\u94f6\u884c\u4e8c\u7ea7\u884c\u4e1a\u5206\u7c7b"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 14,
       "text": [
        "['601328.XSHG',\n",
        " '600036.XSHG',\n",
        " '600000.XSHG',\n",
        " '600926.XSHG',\n",
        " '002142.XSHE',\n",
        " '601939.XSHG',\n",
        " '601128.XSHG',\n",
        " '600016.XSHG',\n",
        " '601288.XSHG',\n",
        " '601818.XSHG',\n",
        " '601838.XSHG',\n",
        " '601997.XSHG',\n",
        " '601166.XSHG',\n",
        " '000001.XSHE',\n",
        " '600015.XSHG',\n",
        " '603323.XSHG',\n",
        " '002839.XSHE',\n",
        " '601229.XSHG',\n",
        " '002807.XSHE',\n",
        " '600919.XSHG',\n",
        " '600908.XSHG',\n",
        " '601169.XSHG',\n",
        " '601988.XSHG',\n",
        " '601398.XSHG',\n",
        " '601998.XSHG',\n",
        " '601009.XSHG']"
       ]
      }
     ]
    },
    {
     "cell_type": "code",
     "collapsed": true,
     "id": "208ECC1A305F4573B97780171413D033",
     "input": [
      "set_universe(IdxCN.IdxShangZhengZongZhi)\t# \u6307\u6570\u6210\u5206\u5b9e\u4f8b"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 15,
       "text": [
        "['600687.XSHG',\n",
        " '600387.XSHG',\n",
        " '600393.XSHG',\n",
        " '600100.XSHG',\n",
        " '600468.XSHG',\n",
        " '600814.XSHG',\n",
        " '603709.XSHG',\n",
        " '603089.XSHG',\n",
        " '600682.XSHG',\n",
        " '600379.XSHG',\n",
        " '603912.XSHG',\n",
        " '603536.XSHG',\n",
        " '601155.XSHG',\n",
        " '603667.XSHG',\n",
        " '600197.XSHG',\n",
        " '600800.XSHG',\n",
        " '601789.XSHG',\n",
        " '600056.XSHG',\n",
        " '603223.XSHG',\n",
        " '600176.XSHG',\n",
        " '603169.XSHG',\n",
        " '600598.XSHG',\n",
        " '600527.XSHG',\n",
        " '600571.XSHG',\n",
        " '600231.XSHG',\n",
        " '600745.XSHG',\n",
        " '600284.XSHG',\n",
        " '600609.XSHG',\n",
        " '600653.XSHG',\n",
        " '600209.XSHG',\n",
        " '600104.XSHG',\n",
        " '603010.XSHG',\n",
        " '601098.XSHG',\n",
        " '603383.XSHG',\n",
        " '601700.XSHG',\n",
        " '600547.XSHG',\n",
        " '600847.XSHG',\n",
        " '600540.XSHG',\n",
        " '603939.XSHG',\n",
        " '600060.XSHG',\n",
        " '603387.XSHG',\n",
        " '600549.XSHG',\n",
        " '600288.XSHG',\n",
        " '603499.XSHG',\n",
        " '600747.XSHG',\n",
        " '603020.XSHG',\n",
        " '601099.XSHG',\n",
        " '603069.XSHG',\n",
        " '600227.XSHG',\n",
        " '600531.XSHG',\n",
        " '600198.XSHG',\n",
        " '600876.XSHG',\n",
        " '600300.XSHG',\n",
        " '603133.XSHG',\n",
        " '603309.XSHG',\n",
        " '600113.XSHG',\n",
        " '600973.XSHG',\n",
        " '600828.XSHG',\n",
        " '600919.XSHG',\n",
        " '603619.XSHG',\n",
        " '600208.XSHG',\n",
        " '600521.XSHG',\n",
        " '603816.XSHG',\n",
        " '600386.XSHG',\n",
        " '601339.XSHG',\n",
        " '603600.XSHG',\n",
        " '601177.XSHG',\n",
        " '600217.XSHG',\n",
        " '600881.XSHG',\n",
        " '603200.XSHG',\n",
        " '600206.XSHG',\n",
        " '601208.XSHG',\n",
        " '603386.XSHG',\n",
        " '600979.XSHG',\n",
        " '601997.XSHG',\n",
        " '600545.XSHG',\n",
        " '600644.XSHG',\n",
        " '600422.XSHG',\n",
        " '600986.XSHG',\n",
        " '600203.XSHG',\n",
        " '603377.XSHG',\n",
        " '601933.XSHG',\n",
        " '600145.XSHG',\n",
        " '600537.XSHG',\n",
        " '603918.XSHG',\n",
        " '600493.XSHG',\n",
        " '600301.XSHG',\n",
        " '600279.XSHG',\n",
        " '603278.XSHG',\n",
        " '601216.XSHG',\n",
        " '600648.XSHG',\n",
        " '600111.XSHG',\n",
        " '600378.XSHG',\n",
        " '600882.XSHG',\n",
        " '603030.XSHG',\n",
        " '600138.XSHG',\n",
        " '601699.XSHG',\n",
        " '600155.XSHG',\n",
        " '600532.XSHG',\n",
        " '600168.XSHG',\n",
        " '600712.XSHG',\n",
        " '603685.XSHG',\n",
        " '603828.XSHG',\n",
        " '600746.XSHG',\n",
        " '600392.XSHG',\n",
        " '601999.XSHG',\n",
        " '601618.XSHG',\n",
        " '600295.XSHG',\n",
        " '601718.XSHG',\n",
        " '600624.XSHG',\n",
        " '600330.XSHG',\n",
        " '600211.XSHG',\n",
        " '603421.XSHG',\n",
        " '603936.XSHG',\n",
        " '601233.XSHG',\n",
        " '600389.XSHG',\n",
        " '603458.XSHG',\n",
        " '601798.XSHG',\n",
        " '600355.XSHG',\n",
        " '601988.XSHG',\n",
        " '600853.XSHG',\n",
        " '603659.XSHG',\n",
        " '600711.XSHG',\n",
        " '600996.XSHG',\n",
        " '600779.XSHG',\n",
        " '600688.XSHG',\n",
        " '600117.XSHG',\n",
        " '600496.XSHG',\n",
        " '603106.XSHG',\n",
        " '603308.XSHG',\n",
        " '603716.XSHG',\n",
        " '601838.XSHG',\n",
        " '600059.XSHG',\n",
        " '600784.XSHG',\n",
        " '603819.XSHG',\n",
        " '600161.XSHG',\n",
        " '600082.XSHG',\n",
        " '601028.XSHG',\n",
        " '603006.XSHG',\n",
        " '603388.XSHG',\n",
        " '600081.XSHG',\n",
        " '603177.XSHG',\n",
        " '601881.XSHG',\n",
        " '600818.XSHG',\n",
        " '600233.XSHG',\n",
        " '600159.XSHG',\n",
        " '603656.XSHG',\n",
        " '600210.XSHG',\n",
        " '600655.XSHG',\n",
        " '600085.XSHG',\n",
        " '601188.XSHG',\n",
        " '600620.XSHG',\n",
        " '600016.XSHG',\n",
        " '600033.XSHG',\n",
        " '600303.XSHG',\n",
        " '603929.XSHG',\n",
        " '603196.XSHG',\n",
        " '600694.XSHG',\n",
        " '603429.XSHG',\n",
        " '603579.XSHG',\n",
        " '600749.XSHG',\n",
        " '603444.XSHG',\n",
        " '603098.XSHG',\n",
        " '600795.XSHG',\n",
        " '600630.XSHG',\n",
        " '600202.XSHG',\n",
        " '600375.XSHG',\n",
        " '600057.XSHG',\n",
        " '603269.XSHG',\n",
        " '600146.XSHG',\n",
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        " '600846.XSHG',\n",
        " '603218.XSHG',\n",
        " '600760.XSHG',\n",
        " '600845.XSHG',\n",
        " '600478.XSHG',\n",
        " '600338.XSHG',\n",
        " '603569.XSHG',\n",
        " '600735.XSHG',\n",
        " '600160.XSHG',\n",
        " '601311.XSHG',\n",
        " '603159.XSHG',\n",
        " '600352.XSHG',\n",
        " '600790.XSHG',\n",
        " '600963.XSHG',\n",
        " '600793.XSHG',\n",
        " '600983.XSHG',\n",
        " '600781.XSHG',\n",
        " '600837.XSHG',\n",
        " '601633.XSHG',\n",
        " '600309.XSHG',\n",
        " '603083.XSHG',\n",
        " '603208.XSHG',\n",
        " '600466.XSHG',\n",
        " '601952.XSHG',\n",
        " '600716.XSHG',\n",
        " '600573.XSHG',\n",
        " '603131.XSHG',\n",
        " '600490.XSHG',\n",
        " '600615.XSHG',\n",
        " '603365.XSHG',\n",
        " '601218.XSHG',\n",
        " '600051.XSHG',\n",
        " '603966.XSHG',\n",
        " '600273.XSHG',\n",
        " '603331.XSHG',\n",
        " '600069.XSHG',\n",
        " '600764.XSHG',\n",
        " '600569.XSHG',\n",
        " '600281.XSHG',\n",
        " '600866.XSHG',\n",
        " '603266.XSHG',\n",
        " '600390.XSHG',\n",
        " '603799.XSHG',\n",
        " '603103.XSHG',\n",
        " '603167.XSHG',\n",
        " '603976.XSHG',\n",
        " '600576.XSHG',\n",
        " '601126.XSHG',\n",
        " '600811.XSHG',\n",
        " '603189.XSHG',\n",
        " '603963.XSHG',\n",
        " '601800.XSHG',\n",
        " '600398.XSHG',\n",
        " '600792.XSHG',\n",
        " '600677.XSHG',\n",
        " '601069.XSHG',\n",
        " '600476.XSHG',\n",
        " '600875.XSHG',\n",
        " '600481.XSHG',\n",
        " '600773.XSHG',\n",
        " '600068.XSHG',\n",
        " '600613.XSHG',\n",
        " '600126.XSHG',\n",
        " '600754.XSHG',\n",
        " '603848.XSHG',\n",
        " '600506.XSHG',\n",
        " '600077.XSHG',\n",
        " '600850.XSHG',\n",
        " '600084.XSHG',\n",
        " '600812.XSHG',\n",
        " '600066.XSHG',\n",
        " '603166.XSHG',\n",
        " '601898.XSHG',\n",
        " '600495.XSHG',\n",
        " '600063.XSHG',\n",
        " '600641.XSHG',\n",
        " '603197.XSHG',\n",
        " '600618.XSHG',\n",
        " '603117.XSHG',\n",
        " '600725.XSHG',\n",
        " '603826.XSHG',\n",
        " '601949.XSHG',\n",
        " '600601.XSHG',\n",
        " '600119.XSHG',\n",
        " '603319.XSHG',\n",
        " '600019.XSHG',\n",
        " '600409.XSHG',\n",
        " '601801.XSHG',\n",
        " '603580.XSHG',\n",
        " '600771.XSHG',\n",
        " '603007.XSHG',\n",
        " '601929.XSHG',\n",
        " '600239.XSHG',\n",
        " '600758.XSHG',\n",
        " '603588.XSHG',\n",
        " '600883.XSHG',\n",
        " '601611.XSHG',\n",
        " '600841.XSHG',\n",
        " '600604.XSHG',\n",
        " '600714.XSHG',\n",
        " '603357.XSHG',\n",
        " '600708.XSHG',\n",
        " '603916.XSHG',\n",
        " '600132.XSHG',\n",
        " '600500.XSHG',\n",
        " '601900.XSHG',\n",
        " '601899.XSHG',\n",
        " '600567.XSHG',\n",
        " '600080.XSHG',\n",
        " '603589.XSHG',\n",
        " '600936.XSHG',\n",
        " '603001.XSHG',\n",
        " '603787.XSHG',\n",
        " '600276.XSHG',\n",
        " '603605.XSHG',\n",
        " '600190.XSHG',\n",
        " '601168.XSHG',\n",
        " '600071.XSHG',\n",
        " '600966.XSHG',\n",
        " '603333.XSHG',\n",
        " '600855.XSHG',\n",
        " '600608.XSHG',\n",
        " '600129.XSHG',\n",
        " '600425.XSHG',\n",
        " '601500.XSHG',\n",
        " '603238.XSHG',\n",
        " '603515.XSHG',\n",
        " '603920.XSHG',\n",
        " '600090.XSHG',\n",
        " '600237.XSHG',\n",
        " '600777.XSHG',\n",
        " '603607.XSHG',\n",
        " '600807.XSHG',\n",
        " '603077.XSHG',\n",
        " '603318.XSHG',\n",
        " '603858.XSHG',\n",
        " '603896.XSHG',\n",
        " '600153.XSHG',\n",
        " '603136.XSHG',\n",
        " '600423.XSHG',\n",
        " '603997.XSHG',\n",
        " '600701.XSHG',\n",
        " '600622.XSHG',\n",
        " '601567.XSHG',\n",
        " '603168.XSHG',\n",
        " '600621.XSHG',\n",
        " '601991.XSHG',\n",
        " '600967.XSHG',\n",
        " '603516.XSHG',\n",
        " '600053.XSHG',\n",
        " '603869.XSHG',\n",
        " '600739.XSHG',\n",
        " '600280.XSHG',\n",
        " '603306.XSHG',\n",
        " '600070.XSHG',\n",
        " '603018.XSHG',\n",
        " '603535.XSHG',\n",
        " '600151.XSHG',\n",
        " '600693.XSHG',\n",
        " '600498.XSHG',\n",
        " '600582.XSHG',\n",
        " '603789.XSHG',\n",
        " '601992.XSHG',\n",
        " '600282.XSHG',\n",
        " '600578.XSHG',\n",
        " '600797.XSHG',\n",
        " '603021.XSHG',\n",
        " '603337.XSHG',\n",
        " '600261.XSHG',\n",
        " '603477.XSHG',\n",
        " '600317.XSHG',\n",
        " '600363.XSHG',\n",
        " '603283.XSHG',\n",
        " '600062.XSHG',\n",
        " '600477.XSHG',\n",
        " '600302.XSHG',\n",
        " '603708.XSHG',\n",
        " '600726.XSHG',\n",
        " '601010.XSHG',\n",
        " '600283.XSHG',\n",
        " '600638.XSHG',\n",
        " '603527.XSHG',\n",
        " '600307.XSHG',\n",
        " '600475.XSHG',\n",
        " '603323.XSHG',\n",
        " '603557.XSHG',\n",
        " '603316.XSHG',\n",
        " '600327.XSHG',\n",
        " '600266.XSHG',\n",
        " '600908.XSHG',\n",
        " '600336.XSHG',\n",
        " '603788.XSHG',\n",
        " '603533.XSHG',\n",
        " '603606.XSHG',\n",
        " '601000.XSHG',\n",
        " '600640.XSHG',\n",
        " '600583.XSHG',\n",
        " '601888.XSHG',\n",
        " '601116.XSHG',\n",
        " '600962.XSHG',\n",
        " '603226.XSHG',\n",
        " '603797.XSHG',\n",
        " '600356.XSHG',\n",
        " '601668.XSHG',\n",
        " '600858.XSHG',\n",
        " '603039.XSHG',\n",
        " '600287.XSHG',\n",
        " '600335.XSHG',\n",
        " '600642.XSHG',\n",
        " '603538.XSHG',\n",
        " '600028.XSHG',\n",
        " '603895.XSHG',\n",
        " '600311.XSHG',\n",
        " '600094.XSHG',\n",
        " '600106.XSHG',\n",
        " '603113.XSHG',\n",
        " '600614.XSHG',\n",
        " '600250.XSHG',\n",
        " '603639.XSHG',\n",
        " '600668.XSHG',\n",
        " '603369.XSHG',\n",
        " '600482.XSHG',\n",
        " '600635.XSHG',\n",
        " '600643.XSHG',\n",
        " '603721.XSHG',\n",
        " '601566.XSHG',\n",
        " '600933.XSHG',\n",
        " '600636.XSHG',\n",
        " '600115.XSHG',\n",
        " '600143.XSHG',\n",
        " '603919.XSHG',\n",
        " '600507.XSHG',\n",
        " '600470.XSHG',\n",
        " '600825.XSHG',\n",
        " '600038.XSHG',\n",
        " '600768.XSHG',\n",
        " '603038.XSHG',\n",
        " '603158.XSHG',\n",
        " '600226.XSHG',\n",
        " '603612.XSHG',\n",
        " '603899.XSHG',\n",
        " '600010.XSHG',\n",
        " '600291.XSHG',\n",
        " '600141.XSHG',\n",
        " '600340.XSHG',\n",
        " '600156.XSHG',\n",
        " '600796.XSHG',\n",
        " '601666.XSHG',\n",
        " '600998.XSHG',\n",
        " '601377.XSHG',\n",
        " '600647.XSHG',\n",
        " '600406.XSHG',\n",
        " '603528.XSHG',\n",
        " '600810.XSHG',\n",
        " '603609.XSHG',\n",
        " '603345.XSHG',\n",
        " '600467.XSHG',\n",
        " '601158.XSHG',\n",
        " '600690.XSHG',\n",
        " '603917.XSHG',\n",
        " '600433.XSHG',\n",
        " '603886.XSHG',\n",
        " '603116.XSHG',\n",
        " '600519.XSHG',\n",
        " '600322.XSHG',\n",
        " '600122.XSHG',\n",
        " ...]"
       ]
      }
     ]
    },
    {
     "cell_type": "code",
     "collapsed": true,
     "id": "35FB16B741C249C5B58FDB665549FE12",
     "input": [
      "universe = set_universe('SH50', date='2016-03-01')\t# \u83b7\u53d62016\u5e743\u67081\u65e5\u7684\u4e0a\u8bc150\u5217\u8868\n",
      "universe = set_universe('SH50')\t\t# \u83b7\u53d6\u4e0a\u4e00\u4e2a\u4ea4\u6613\u65e5\u7684\u4e0a\u8bc150\u5217\u8868\n",
      "universe"
     ],
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 17,
       "text": [
        "['600000.XSHG',\n",
        " '600104.XSHG',\n",
        " '600050.XSHG',\n",
        " '600036.XSHG',\n",
        " '600030.XSHG',\n",
        " '600028.XSHG',\n",
        " '600016.XSHG',\n",
        " '600519.XSHG',\n",
        " '601006.XSHG',\n",
        " '601398.XSHG',\n",
        " '600048.XSHG',\n",
        " '601628.XSHG',\n",
        " '601166.XSHG',\n",
        " '601318.XSHG',\n",
        " '601328.XSHG',\n",
        " '601088.XSHG',\n",
        " '601857.XSHG',\n",
        " '601601.XSHG',\n",
        " '601169.XSHG',\n",
        " '600837.XSHG',\n",
        " '601668.XSHG',\n",
        " '601288.XSHG',\n",
        " '600111.XSHG',\n",
        " '601818.XSHG',\n",
        " '601989.XSHG',\n",
        " '601766.XSHG',\n",
        " '600887.XSHG',\n",
        " '601688.XSHG',\n",
        " '600518.XSHG',\n",
        " '600999.XSHG',\n",
        " '601186.XSHG',\n",
        " '601988.XSHG',\n",
        " '601390.XSHG',\n",
        " '600958.XSHG',\n",
        " '601800.XSHG',\n",
        " '601985.XSHG',\n",
        " '601336.XSHG',\n",
        " '601211.XSHG',\n",
        " '600029.XSHG',\n",
        " '600547.XSHG',\n",
        " '600919.XSHG',\n",
        " '600340.XSHG',\n",
        " '601229.XSHG',\n",
        " '600606.XSHG',\n",
        " '601881.XSHG',\n",
        " '601878.XSHG',\n",
        " '601669.XSHG',\n",
        " '600019.XSHG',\n",
        " '600309.XSHG',\n",
        " '603993.XSHG']"
       ]
      }
     ]
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "id": "ACAC4F7694394CEB9AC11D2725D8C2B7",
     "input": [
      "universe = ['000001.XSHE', 'IFM0']\t# \u6307\u5b9a\u5e73\u5b89\u94f6\u884c\u548c\u80a1\u6307\u671f\u8d27"
     ],
     "language": "python",
     "metadata": {},
     "outputs": []
    },
    {
     "cell_type": "code",
     "collapsed": false,
     "id": "F8AE5CD7FFD7448C8E446811560239A8",
     "input": [
      "universe = DynamicUniverse('HS300').apply_filter(Factor.PE.nsmall(100))# \u83b7\u5f97\u6caa\u6df1300\u6210\u5206\u80a1\u4e2dPE\u6700\u5c0f\u7684100\u53ea\u80a1\u7968\u5217\u8868"
     ],
     "language": "python",
     "metadata": {},
     "outputs": []
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "55FA43AB26F6448697F9FF75F233706C",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-02-01'    # \u57282017\u5e742\u67081\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'\nrefresh_rate = 1\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.current_date\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-04 00:00:00\n2017-01-05 00:00:00\n2017-01-06 00:00:00\n2017-01-09 00:00:00\n2017-01-10 00:00:00\n2017-01-11 00:00:00\n2017-01-12 00:00:00\n2017-01-13 00:00:00\n2017-01-16 00:00:00\n2017-01-17 00:00:00\n2017-01-18 00:00:00\n2017-01-19 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-20 00:00:00\n2017-01-23 00:00:00\n2017-01-24 00:00:00\n2017-01-25 00:00:00\n2017-01-26 00:00:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 27,
       "text": "'{\"information\": -4.34404, \"benchmark_cumulative_return\": {\"1485388800000\": 0.0235281251, \"1483920000000\": 0.0162594208, \"1485302400000\": 0.0198856161, \"1484092800000\": 0.0073756503, \"1484697600000\": 0.0088469134, \"1483401600000\": 0.0097115448, \"1485129600000\": 0.0163138002, \"1484870400000\": 0.0135368289, \"1484265600000\": 0.002970018, \"1483574400000\": 0.0174340145, \"1484524800000\": 0.0028292359, \"1485216000000\": 0.0164255799, \"1483488000000\": 0.0175920166, \"1484179200000\": 0.0022787962, \"1484611200000\": 0.0049167981, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582, \"1484784000000\": 0.0058028791}, \"benchmark_annualized_return\": 0.38126, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1485388800000\": 0.0, \"1483920000000\": 0.0, \"1485302400000\": 0.0, \"1484092800000\": 0.0, \"1484697600000\": 0.0, \"1483401600000\": 0.0, \"1485129600000\": 0.0, \"1484870400000\": 0.0, \"1484265600000\": 0.0, \"1483574400000\": 0.0, \"1484524800000\": 0.0, \"1485216000000\": 0.0, \"1483488000000\": 0.0, \"1484179200000\": 0.0, \"1484611200000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0, \"1484784000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "B99AB8CED8C94F279AF082FBE9F05480",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-02-01'    # \u57282017\u5e742\u67081\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'\nrefresh_rate = Weekly(1)\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.current_date\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-09 00:00:00\n2017-01-16 00:00:00\n2017-01-23 00:00:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 29,
       "text": "'{\"information\": -4.34404, \"benchmark_cumulative_return\": {\"1485388800000\": 0.0235281251, \"1483920000000\": 0.0162594208, \"1485302400000\": 0.0198856161, \"1484092800000\": 0.0073756503, \"1484697600000\": 0.0088469134, \"1483401600000\": 0.0097115448, \"1485129600000\": 0.0163138002, \"1484870400000\": 0.0135368289, \"1484265600000\": 0.002970018, \"1483574400000\": 0.0174340145, \"1484524800000\": 0.0028292359, \"1485216000000\": 0.0164255799, \"1483488000000\": 0.0175920166, \"1484179200000\": 0.0022787962, \"1484611200000\": 0.0049167981, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582, \"1484784000000\": 0.0058028791}, \"benchmark_annualized_return\": 0.38126, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1485388800000\": 0.0, \"1483920000000\": 0.0, \"1485302400000\": 0.0, \"1484092800000\": 0.0, \"1484697600000\": 0.0, \"1483401600000\": 0.0, \"1485129600000\": 0.0, \"1484870400000\": 0.0, \"1484265600000\": 0.0, \"1483574400000\": 0.0, \"1484524800000\": 0.0, \"1485216000000\": 0.0, \"1483488000000\": 0.0, \"1484179200000\": 0.0, \"1484611200000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0, \"1484784000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "01C5F3C672EE4187830F914F502650FC",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-03-01'    # \u57282017\u5e743\u67081\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'\nrefresh_rate = Monthly(1, -1)\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.current_date\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-26 00:00:00\n2017-02-03 00:00:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-02-28 00:00:00\n2017-03-01 00:00:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 31,
       "text": "'{\"information\": -3.7231, \"benchmark_cumulative_return\": {\"1487030400000\": 0.03798185, \"1483920000000\": 0.0162594208, \"1485129600000\": 0.0163138002, \"1486080000000\": 0.0164379663, \"1486944000000\": 0.0381241426, \"1487808000000\": 0.04931692, \"1483574400000\": 0.0174340145, \"1483488000000\": 0.0175920166, \"1484179200000\": 0.0022787962, \"1484611200000\": 0.0049167981, \"1488153600000\": 0.0411295071, \"1487548800000\": 0.0487335506, \"1485302400000\": 0.0198856161, \"1483401600000\": 0.0097115448, \"1486684800000\": 0.0312397189, \"1487635200000\": 0.0521866383, \"1488240000000\": 0.0431194886, \"1487721600000\": 0.0542814511, \"1485216000000\": 0.0164255799, \"1486425600000\": 0.0167983805, \"1487203200000\": 0.0395313589, \"1486598400000\": 0.026044982, \"1484524800000\": 0.0028292359, \"1488326400000\": 0.0448197491, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582, \"1485388800000\": 0.0235281251, \"1484697600000\": 0.0088469134, \"1486339200000\": 0.0190702282, \"1484870400000\": 0.0135368289, \"1486512000000\": 0.0221163772, \"1484265600000\": 0.002970018, \"1487289600000\": 0.0336429834, \"1484092800000\": 0.0073756503, \"1487116800000\": 0.0337248545, \"1487894400000\": 0.0494764328, \"1484784000000\": 0.0058028791}, \"benchmark_annualized_return\": 0.3448, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1487030400000\": 0.0, \"1483920000000\": 0.0, \"1485129600000\": 0.0, \"1486080000000\": 0.0, \"1486944000000\": 0.0, \"1487808000000\": 0.0, \"1483574400000\": 0.0, \"1483488000000\": 0.0, \"1484179200000\": 0.0, \"1484611200000\": 0.0, \"1488153600000\": 0.0, \"1487548800000\": 0.0, \"1485302400000\": 0.0, \"1483401600000\": 0.0, \"1486684800000\": 0.0, \"1487635200000\": 0.0, \"1488240000000\": 0.0, \"1487721600000\": 0.0, \"1485216000000\": 0.0, \"1486425600000\": 0.0, \"1487203200000\": 0.0, \"1486598400000\": 0.0, \"1484524800000\": 0.0, \"1488326400000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0, \"1485388800000\": 0.0, \"1484697600000\": 0.0, \"1486339200000\": 0.0, \"1484870400000\": 0.0, \"1486512000000\": 0.0, \"1484265600000\": 0.0, \"1487289600000\": 0.0, \"1484092800000\": 0.0, \"1487116800000\": 0.0, \"1487894400000\": 0.0, \"1484784000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "632534ACC7584297BB704E09138F6E8C",
     "input": "start = '2017-01-04'  # \u57282017\u5e741\u67084\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-01-04'    # \u57282017\u5e741\u67084\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'm'\nrefresh_rate = (1, 2)\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.now\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-04 09:30:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 09:32:00\n2017-01-04 09:34:00\n2017-01-04 09:36:00\n2017-01-04 09:38:00\n2017-01-04 09:40:00\n2017-01-04 09:42:00\n2017-01-04 09:44:00\n2017-01-04 09:46:00\n2017-01-04 09:48:00\n2017-01-04 09:50:00\n2017-01-04 09:52:00\n2017-01-04 09:54:00\n2017-01-04 09:56:00\n2017-01-04 09:58:00\n2017-01-04 10:00:00\n2017-01-04 10:02:00\n2017-01-04 10:04:00\n2017-01-04 10:06:00\n2017-01-04 10:08:00\n2017-01-04 10:10:00\n2017-01-04 10:12:00\n2017-01-04 10:14:00\n2017-01-04 10:16:00\n2017-01-04 10:18:00\n2017-01-04 10:20:00\n2017-01-04 10:22:00\n2017-01-04 10:24:00\n2017-01-04 10:26:00\n2017-01-04 10:28:00\n2017-01-04 10:30:00\n2017-01-04 10:32:00\n2017-01-04 10:34:00\n2017-01-04 10:36:00\n2017-01-04 10:38:00\n2017-01-04 10:40:00\n2017-01-04 10:42:00\n2017-01-04 10:44:00\n2017-01-04 10:46:00\n2017-01-04 10:48:00\n2017-01-04 10:50:00\n2017-01-04 10:52:00\n2017-01-04 10:54:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 10:56:00\n2017-01-04 10:58:00\n2017-01-04 11:00:00\n2017-01-04 11:02:00\n2017-01-04 11:04:00\n2017-01-04 11:06:00\n2017-01-04 11:08:00\n2017-01-04 11:10:00\n2017-01-04 11:12:00\n2017-01-04 11:14:00\n2017-01-04 11:16:00\n2017-01-04 11:18:00\n2017-01-04 11:20:00\n2017-01-04 11:22:00\n2017-01-04 11:24:00\n2017-01-04 11:26:00\n2017-01-04 11:28:00\n2017-01-04 11:30:00\n2017-01-04 13:02:00\n2017-01-04 13:04:00\n2017-01-04 13:06:00\n2017-01-04 13:08:00\n2017-01-04 13:10:00\n2017-01-04 13:12:00\n2017-01-04 13:14:00\n2017-01-04 13:16:00\n2017-01-04 13:18:00\n2017-01-04 13:20:00\n2017-01-04 13:22:00\n2017-01-04 13:24:00\n2017-01-04 13:26:00\n2017-01-04 13:28:00\n2017-01-04 13:30:00\n2017-01-04 13:32:00\n2017-01-04 13:34:00\n2017-01-04 13:36:00\n2017-01-04 13:38:00\n2017-01-04 13:40:00\n2017-01-04 13:42:00\n2017-01-04 13:44:00\n2017-01-04 13:46:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 13:48:00\n2017-01-04 13:50:00\n2017-01-04 13:52:00\n2017-01-04 13:54:00\n2017-01-04 13:56:00\n2017-01-04 13:58:00\n2017-01-04 14:00:00\n2017-01-04 14:02:00\n2017-01-04 14:04:00\n2017-01-04 14:06:00\n2017-01-04 14:08:00\n2017-01-04 14:10:00\n2017-01-04 14:12:00\n2017-01-04 14:14:00\n2017-01-04 14:16:00\n2017-01-04 14:18:00\n2017-01-04 14:20:00\n2017-01-04 14:22:00\n2017-01-04 14:24:00\n2017-01-04 14:26:00\n2017-01-04 14:28:00\n2017-01-04 14:30:00\n2017-01-04 14:32:00\n2017-01-04 14:34:00\n2017-01-04 14:36:00\n2017-01-04 14:38:00\n2017-01-04 14:40:00\n2017-01-04 14:42:00\n2017-01-04 14:44:00\n2017-01-04 14:46:00\n2017-01-04 14:48:00\n2017-01-04 14:50:00\n2017-01-04 14:52:00\n2017-01-04 14:54:00\n2017-01-04 14:56:00\n2017-01-04 14:58:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 1,
       "text": "'{\"information\": null, \"benchmark_cumulative_return\": {\"1483488000000\": 0.0078046763}, \"benchmark_annualized_return\": 5.98381, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": null, \"sharpe\": null, \"alpha\": null, \"volatility\": null, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483488000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "C6497D1056B1496093710780C5DFA39D",
     "input": "start = '2017-01-04'  # \u57282017\u5e741\u67084\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-01-10'    # \u57282017\u5e741\u670810\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'm'\nrefresh_rate = (2, ['10:30', '14:30'])\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.now\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-04 10:30:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 14:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-06 10:30:00\n2017-01-06 14:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-10 10:30:00\n2017-01-10 14:30:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 2,
       "text": "'{\"information\": -2.82116, \"benchmark_cumulative_return\": {\"1483574400000\": 0.0076481939, \"1483920000000\": 0.0064848976, \"1483488000000\": 0.0078046763, \"1484006400000\": 0.0048006913, \"1483660800000\": 0.0016276572}, \"benchmark_annualized_return\": 0.27056, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483574400000\": 0.0, \"1483920000000\": 0.0, \"1483488000000\": 0.0, \"1484006400000\": 0.0, \"1483660800000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "AD00187F6DC646E180CC8CFD78232CB3",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-01-10'    # \u57282017\u5e741\u670810\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'm'\nrefresh_rate = (2, ['10:30', '14:30'])\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.now\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 10:30:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-03 14:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-05 10:30:00\n2017-01-05 14:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-09 10:30:00\n2017-01-09 14:30:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 4,
       "text": "'{\"information\": -6.36185, \"benchmark_cumulative_return\": {\"1483920000000\": 0.0162594208, \"1483401600000\": 0.0097115448, \"1483574400000\": 0.0174340145, \"1483488000000\": 0.0175920166, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582}, \"benchmark_annualized_return\": 0.82622, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483920000000\": 0.0, \"1483401600000\": 0.0, \"1483574400000\": 0.0, \"1483488000000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "F92CE29DFEB9440980051F4A1CE4F612",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-03-01'    # \u57282017\u5e743\u67081\u65e5\u7ed3\u675f\u56de\u6d4b\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'm'\nrefresh_rate = (Monthly(1), 120)\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.now\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 09:30:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-03 11:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-02-03 09:30:00\n2017-02-03 11:30:00\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-03-01 09:30:00\n2017-03-01 11:30:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 5,
       "text": "'{\"information\": -3.7231, \"benchmark_cumulative_return\": {\"1487030400000\": 0.03798185, \"1483920000000\": 0.0162594208, \"1485129600000\": 0.0163138002, \"1486080000000\": 0.0164379663, \"1486944000000\": 0.0381241426, \"1487808000000\": 0.04931692, \"1483574400000\": 0.0174340145, \"1483488000000\": 0.0175920166, \"1484179200000\": 0.0022787962, \"1484611200000\": 0.0049167981, \"1488153600000\": 0.0411295071, \"1487548800000\": 0.0487335506, \"1485302400000\": 0.0198856161, \"1483401600000\": 0.0097115448, \"1486684800000\": 0.0312397189, \"1487635200000\": 0.0521866383, \"1488240000000\": 0.0431194886, \"1487721600000\": 0.0542814511, \"1485216000000\": 0.0164255799, \"1486425600000\": 0.0167983805, \"1487203200000\": 0.0395313589, \"1486598400000\": 0.026044982, \"1484524800000\": 0.0028292359, \"1488326400000\": 0.0448197491, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582, \"1485388800000\": 0.0235281251, \"1484697600000\": 0.0088469134, \"1486339200000\": 0.0190702282, \"1484870400000\": 0.0135368289, \"1486512000000\": 0.0221163772, \"1484265600000\": 0.002970018, \"1487289600000\": 0.0336429834, \"1484092800000\": 0.0073756503, \"1487116800000\": 0.0337248545, \"1487894400000\": 0.0494764328, \"1484784000000\": 0.0058028791}, \"benchmark_annualized_return\": 0.3448, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1487030400000\": 0.0, \"1483920000000\": 0.0, \"1485129600000\": 0.0, \"1486080000000\": 0.0, \"1486944000000\": 0.0, \"1487808000000\": 0.0, \"1483574400000\": 0.0, \"1483488000000\": 0.0, \"1484179200000\": 0.0, \"1484611200000\": 0.0, \"1488153600000\": 0.0, \"1487548800000\": 0.0, \"1485302400000\": 0.0, \"1483401600000\": 0.0, \"1486684800000\": 0.0, \"1487635200000\": 0.0, \"1488240000000\": 0.0, \"1487721600000\": 0.0, \"1485216000000\": 0.0, \"1486425600000\": 0.0, \"1487203200000\": 0.0, \"1486598400000\": 0.0, \"1484524800000\": 0.0, \"1488326400000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0, \"1485388800000\": 0.0, \"1484697600000\": 0.0, \"1486339200000\": 0.0, \"1484870400000\": 0.0, \"1486512000000\": 0.0, \"1484265600000\": 0.0, \"1487289600000\": 0.0, \"1484092800000\": 0.0, \"1487116800000\": 0.0, \"1487894400000\": 0.0, \"1484784000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "82C0F71124FA42668BEA55F7D62E4C4A",
     "input": "start = '2016-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-01'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = DynamicUniverse('HS300')        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n\t'security_account': AccountConfig(account_type='security', capital_base=10000000, position_base = {'600000.XSHG':1000}, cost_base = {'600000.XSHG':10.05}, commission = Commission(buycost=0.001, sellcost=0.002, unit='perValue'), slippage = Slippage(value=0.0, unit='perValue'))\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('security_account')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 6,
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      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "C45D206B4CBC484284456C5ECD5762B2",
     "input": "start = '2016-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-01'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = DynamicUniverse('HS300') + ['IFM0']       # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\n# \u5bf9\u4e24\u4e2a\u8d26\u6237\u8fdb\u884c\u5168\u5c40\u7684\u4ea4\u6613\u8d39\u7528\u548c\u6ed1\u70b9\u8bbe\u7f6e\ncommission = Commission(buycost=0.001, sellcost=0.002, unit='perValue')\nslippage = Slippage(value=0.0, unit='perValue')\n\naccounts = {\n\t'security_account1': AccountConfig(account_type='security', capital_base=10000000, position_base = {'600000.XSHG':1000}, cost_base = {'600000.XSHG':10.05}, commission = commission, slippage = slippage), \n\n\t'security_account2': AccountConfig(account_type='security', capital_base=20000000, position_base = {'600000.XSHG':2000}, cost_base = {'600000.XSHG':10.05}, commission = commission, slippage = slippage)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount1 = context.get_account('security_account1')\n\taccount2 = context.get_account('security_account2')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 7,
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      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "7B27D89155F548D2950295CD68891A6C",
     "input": "start = '2016-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-01'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = DynamicUniverse('HS300') + ['IFM0']        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n\t'security_account': AccountConfig(account_type='security', capital_base=10000000, position_base = {'600000.XSHG':1000}, cost_base = {'600000.XSHG':10.05}, commission = Commission(buycost=0.001, sellcost=0.002, unit='perValue'), slippage = Slippage(value=0.0, unit='perValue')), \n\n\t'futures_account': AccountConfig(account_type='futures', capital_base=10000000, commission = Commission(buycost=0.001, sellcost=0.002, unit='perValue'), slippage = Slippage(value=0.0, unit='perValue'), margin_rate = 0.1)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount1 = context.get_account('security_account')\n\taccount2 = context.get_account('futures_account')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 8,
       "text": "'{\"information\": 0.4425, \"benchmark_cumulative_return\": {\"1470787200000\": -0.1307058018, \"1461801600000\": -0.1528874928, \"1455753600000\": -0.1815344659, \"1468454400000\": -0.1217476256, \"1468368000000\": -0.1201116053, \"1467072000000\": -0.1593683203, \"1463443200000\": -0.1728703124, \"1459468800000\": -0.1364538509, \"1477440000000\": -0.1008320814, \"1478736000000\": -0.0912335952, \"1471824000000\": -0.1056578589, \"1464307200000\": -0.1791758521, \"1480636800000\": -0.0541543096, \"1481760000000\": -0.1046825185, \"1468281600000\": -0.1227076887, \"1467590400000\": -0.1410636008, \"1475107200000\": -0.1304254484, \"1476316800000\": -0.1148106207, \"1479772800000\": -0.0703941699, \"1464652800000\": -0.1504809026, \"1465171200000\": -0.1480075744, \"1482364800000\": -0.1059588502, \"1465948800000\": -0.1647376511, \"1459382400000\": -0.1374742194, \"1464048000000\": -0.1788925504, \"1458604800000\": -0.1354098963, \"1477958400000\": -0.0996924421, \"1469404800000\": -0.1340443125, \"1451952000000\": -0.0676024288, \"1472688000000\": -0.1150971387, \"1453161600000\": -0.136124181, \"1463097600000\": -0.1758427019, \"1478476800000\": -0.1003517819, \"1474848000000\": -0.1368856381, \"1473638400000\": -0.1255428497, \"1461542400000\": -0.1524983215, \"1479081600000\": -0.0806101841, \"1474243200000\": -0.1254034771, \"1454284800000\": -0.2224486432, \"1470009600000\": -0.1485379945, \"1453334400000\": -0.1741246661, \"1479340800000\": -0.0789251154, \"1465344000000\": -0.15197487, \"1458172800000\": -0.1626374127, \"1474416000000\": -0.1244621757, \"1476057600000\": -0.11716307, \"1471219200000\": -0.0904799109, \"1456704000000\": -0.2287689242, \"1473292800000\": -0.1049156997, \"1462320000000\": -0.139786465, \"1473811200000\": -0.1319416618, \"1458259200000\": -0.1498368402, \"1479945600000\": -0.0649329068, \"1458777600000\": -0.1471866159, \"1480032000000\": -0.0562065717, \"1481155200000\": -0.0699173547, \"1477872000000\": -0.1057964275, \"1467676800000\": -0.1403434195, \"1463961600000\": -0.1725492193, \"1463702400000\": -0.1749627781, \"1465862400000\": -0.1755618124, \"1452816000000\": -0.1641045777, \"1481587200000\": -0.0873676127, \"1453852800000\": -0.2145944591, \"1473120000000\": -0.1040950093, \"1478563200000\": -0.0964584609, \"1479859200000\": -0.0686881953, \"1471996800000\": -0.1075158034, \"1461888000000\": -0.153915634, \"1461283200000\": -0.1490493848, \"1482278400000\": -0.1051912286, \"1464825600000\": -0.1511402424, \"1471564800000\": -0.0980928731, \"1480550400000\": -0.0444837249, \"1476403200000\": -0.1139524069, \"1455667200000\": -0.1789558041, \"1466121600000\": -0.1663487452, \"1456272000000\": -0.1665663809, \"1458518400000\": -0.1290719257, \"1462492800000\": -0.1609890633, \"1479427200000\": -0.084039019, \"1478822400000\": -0.0841017367, \"1462233600000\": -0.1386931939, \"1481673600000\": -0.0943606347, \"1456444800000\": -0.2098560576, \"1482969600000\": -0.1161188473, \"1474329600000\": -0.1269368441, \"1453680000000\": -0.1613825229, \"1470700800000\": -0.1270499503, \"1472428800000\": -0.113434316, \"1452729600000\": -0.1365406908, \"1460937600000\": -0.1346961476, \"1460678400000\": -0.1229695484, \"1476662400000\": -0.1214487785, \"1451865600000\": -0.0702060169, \"1452643200000\": -0.154147743, \"1472601600000\": -0.1080703457, \"1471910400000\": -0.1043083566, \"1461110400000\": -0.147407736, \"1480291200000\": -0.0525123928, \"1467763200000\": -0.1378183626, \"1473724800000\": -0.1261515329, \"1467849600000\": -0.1396543291, \"1454371200000\": -0.2062905303, \"1481241600000\": -0.0636035063, \"1475020800000\": -0.1340429723, \"1461024000000\": -0.1320561082, \"1478217600000\": -0.1009995966, \"1462406400000\": -0.1385913447, \"1454025600000\": -0.2103762927, \"1481068800000\": -0.0684153465, \"1463616000000\": -0.1791755841, \"1473033600000\": -0.1102450948, \"1472774400000\": -0.1117369181, \"1477353600000\": -0.0974402339, 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\"1452211200000\": -0.0990194331, \"1454630400000\": -0.2056325306, \"1469664000000\": -0.1366570133, \"1456185600000\": -0.1719756473, \"1459987200000\": -0.1398322972, \"1468195200000\": -0.141429722, \"1476748800000\": -0.1098023187, \"1476230400000\": -0.1155171328, \"1455580800000\": -0.1860008228, \"1470614400000\": -0.1331603683, \"1453766400000\": -0.2118721363, \"1453075200000\": -0.1608885542, \"1463529600000\": -0.1776918015, \"1469750400000\": -0.1412689074, \"1460073600000\": -0.1461480218, \"1458000000000\": -0.1758842457, \"1477008000000\": -0.108084819, \"1480377600000\": -0.0447506771, \"1470355200000\": -0.1409526388, \"1458864000000\": -0.14290734, \"1456963200000\": -0.1802685872, \"1477526400000\": -0.1032724427, \"1466726400000\": -0.175247688, \"1476144000000\": -0.1137623777, \"1476921600000\": -0.110533489, \"1470873600000\": -0.1333809523, \"1456790400000\": -0.2145027948, \"1465257600000\": -0.1484723285, \"1475193600000\": -0.1280405682, \"1457654400000\": -0.1910265465, \"1464134400000\": -0.1800530956, \"1456099200000\": -0.1640675904, \"1459123200000\": -0.1504358745, \"1452124800000\": -0.1170250375, \"1479254400000\": -0.0807860081, \"1460332800000\": -0.1342557836, \"1480982400000\": -0.0728629418, \"1477612800000\": -0.10476507, \"1459900800000\": -0.1269033411, \"1457308800000\": -0.1678274352, \"1462752000000\": -0.1783406884, \"1454457600000\": -0.2096930988, \"1480464000000\": -0.0517297618, \"1455840000000\": -0.1821010693, \"1482105600000\": -0.1077516648, \"1469145600000\": -0.1355782155, \"1454544000000\": -0.2000117931, \"1455494400000\": -0.2102109217, \"1453248000000\": -0.1491895615, \"1468886400000\": -0.1293943589, \"1457049600000\": -0.1707623013, \"1460505600000\": -0.1258701074, \"1470268800000\": -0.1419767596, \"1478649600000\": -0.1012997838, \"1473379200000\": -0.1106835826, \"1469577600000\": -0.1374326756, \"1482710400000\": -0.1095158007, \"1460592000000\": -0.1219974243, \"1470960000000\": -0.1170652411, \"1458691200000\": -0.1326487099, \"1472515200000\": -0.1123070058, \"1461196800000\": -0.1528815962, \"1476835200000\": -0.1111668304, \"1477267200000\": -0.0974072669, \"1473206400000\": -0.1045798652, \"1465776000000\": -0.1781461027, \"1456358400000\": -0.2177040771, \"1479686400000\": -0.0776986362, \"1467244800000\": -0.1546725346, \"1466985600000\": -0.1636183816, \"1453939200000\": -0.2351240483, \"1460419200000\": -0.1373771946, \"1482883200000\": -0.1150135151, \"1457481600000\": -0.1766542795, \"1471305600000\": -0.0945482517, \"1472083200000\": -0.113115099, \"1453420800000\": -0.1655162617, \"1479168000000\": -0.0807114973, \"1466035200000\": -0.1705519022, \"1459209600000\": -0.1596339324, \"1466640000000\": -0.1644832961, \"1464566400000\": -0.1780472018, \"1472169600000\": -0.1136195207, \"1462838400000\": -0.1774034074, \"1463011200000\": -0.1717681965, \"1463356800000\": -0.1703819748, \"1457395200000\": -0.1670681224, \"1481846400000\": -0.1031823865, \"1480896000000\": -0.0701146206, \"1464739200000\": -0.1528966056, \"1461715200000\": -0.1514575831, \"1462924800000\": -0.1737322786, \"1481500800000\": -0.0862571881, \"1466380800000\": -0.1657277329, \"1467936000000\": -0.1443913905, \"1469491200000\": -0.123670968, \"1470182400000\": -0.1440625247, \"1452470400000\": -0.1443458264, \"1457913600000\": -0.1783205865, \"1467158400000\": -0.1553509041}, \"benchmark_annualized_return\": -0.11543, \"turnover_rate\": 0.0, \"max_drawdown\": 5e-05, \"beta\": 8e-05, \"sharpe\": -228.86409, \"alpha\": -0.03487, \"volatility\": 0.00015, \"annualized_return\": 0.00012, \"cumulative_return\": {\"1470787200000\": 9.86005e-05, \"1461801600000\": 9.78009e-05, \"1455753600000\": 0.0001162416, \"1468454400000\": 9.37029e-05, \"1468368000000\": 9.71012e-05, \"1467072000000\": 7.77609e-05, \"1463443200000\": 7.60118e-05, \"1459468800000\": 0.0001071961, \"1477440000000\": 0.0001172411, \"1478736000000\": 0.0001266863, \"1471824000000\": 0.0001206394, \"1464307200000\": 9.24535e-05, \"1480636800000\": 0.0001468262, \"1481760000000\": 0.0001316339, \"1468281600000\": 9.14041e-05, \"1467590400000\": 0.0001023985, \"1475107200000\": 0.0001240377, \"1476316800000\": 0.000121389, \"1479772800000\": 0.0001308842, \"1464652800000\": 0.0001108943, \"1465171200000\": 0.0001018488, \"1482364800000\": 0.0001122936, \"1465948800000\": 9.24535e-05, \"1459382400000\": 9.88004e-05, \"1464048000000\": 8.61067e-05, \"1458604800000\": 0.0001061966, \"1477958400000\": 0.0001164415, \"1469404800000\": 9.33031e-05, \"1451952000000\": 9.98498e-05, \"1472688000000\": 0.0001206394, \"1453161600000\": 9.3453e-05, \"1463097600000\": 7.5712e-05, \"1478476800000\": 0.0001210392, \"1474848000000\": 0.000123288, \"1473638400000\": 0.0001202396, \"1461542400000\": 9.71512e-05, \"1479081600000\": 0.0001278358, \"1474243200000\": 0.0001225384, \"1454284800000\": 5.08744e-05, \"1470009600000\": 9.7501e-05, \"1453334400000\": 5.35731e-05, \"1479340800000\": 0.0001278358, \"1465344000000\": 0.0001008493, \"1458172800000\": 9.11042e-05, \"1474416000000\": 0.0001221386, \"1476057600000\": 0.0001259367, \"1471219200000\": 0.0001407793, \"1456704000000\": 0.0001162416, \"1473292800000\": 0.0001278358, \"1462320000000\": 0.0001038478, \"1473811200000\": 0.0001202396, \"1458259200000\": 9.58019e-05, \"1479945600000\": 0.0001388802, \"1458777600000\": 9.18039e-05, \"1480032000000\": 0.0001464264, \"1481155200000\": 0.0001483255, \"1477872000000\": 0.000115342, \"1467676800000\": 9.71012e-05, \"1463961600000\": 8.61067e-05, \"1463702400000\": 8.27084e-05, \"1465862400000\": 9.41527e-05, \"1452816000000\": 8.71062e-05, \"1481587200000\": 0.0001494749, \"1453852800000\": 5.69214e-05, \"1473120000000\": 0.0001206394, \"1478563200000\": 0.0001229382, \"1479859200000\": 0.0001403795, \"1471996800000\": 0.0001198898, \"1461888000000\": 9.5452e-05, \"1461283200000\": 0.0001091951, \"1482278400000\": 0.0001172411, \"1464825600000\": 0.0001018488, \"1471564800000\": 0.0001210392, \"1480550400000\": 0.0001487253, \"1476403200000\": 0.0001225384, \"1455667200000\": 0.0001162416, \"1466121600000\": 9.3453e-05, \"1456272000000\": 0.0001162416, \"1458518400000\": 0.0001031981, \"1462492800000\": 9.21037e-05, \"1479427200000\": 0.0001278358, \"1478822400000\": 0.0001274859, \"1462233600000\": 0.0001051971, \"1481673600000\": 0.0001498747, \"1456444800000\": 0.0001162416, \"1482969600000\": 0.0001077459, \"1474329600000\": 0.0001225384, \"1453680000000\": 6.86655e-05, \"1470700800000\": 9.71012e-05, \"1472428800000\": 0.0001137928, \"1452729600000\": 9.85005e-05, \"1460937600000\": 9.48024e-05, \"1460678400000\": 9.7501e-05, \"1476662400000\": 0.000115342, \"1451865600000\": 9.44525e-05, \"1452643200000\": 8.07094e-05, \"1472601600000\": 0.000123288, \"1471910400000\": 0.0001202396, \"1461110400000\": 9.98498e-05, \"1480291200000\": 0.0001510241, \"1467763200000\": 9.14041e-05, \"1473724800000\": 0.0001221386, \"1467849600000\": 8.87554e-05, \"1454371200000\": 5.962e-05, \"1481241600000\": 0.0001559216, \"1475020800000\": 0.000123288, \"1461024000000\": 9.78009e-05, \"1478217600000\": 0.0001202396, \"1462406400000\": 0.0001031981, \"1454025600000\": 6.43177e-05, \"1481068800000\": 0.0001456768, \"1463616000000\": 7.93601e-05, \"1473033600000\": 0.0001236878, \"1472774400000\": 0.000123288, \"1477353600000\": 0.0001210392, \"1468972800000\": 9.5602e-05, \"1467331200000\": 0.0001020487, \"1464912000000\": 0.000101499, \"1452556800000\": 8.27084e-05, \"1478044800000\": 0.0001126434, \"1459296000000\": 9.68014e-05, \"1458086400000\": 0.0001021986, \"1474502400000\": 0.0001251871, \"1482796800000\": 0.0001103945, \"1474934400000\": 0.000123288, \"1461628800000\": 9.85005e-05, \"1469059200000\": 9.86005e-05, \"1482192000000\": 0.0001156919, \"1471478400000\": 0.0001217888, \"1456876800000\": 0.0001162416, \"1452038400000\": 0.0001045475, \"1466553600000\": 9.7501e-05, \"1474588800000\": 0.000123288, \"1471392000000\": 0.000129385, \"1468800000000\": 9.63516e-05, \"1464220800000\": 9.11042e-05, \"1468540800000\": 9.40527e-05, \"1459814400000\": 0.0001068463, \"1470096000000\": 9.5602e-05, \"1483056000000\": 0.0001130432, \"1482451200000\": 0.0001122936, \"1457568000000\": 0.0001162416, \"1478131200000\": 0.0001183405, \"1466467200000\": 9.38029e-05, \"1452211200000\": 8.40578e-05, \"1454630400000\": 0.0001138928, \"1469664000000\": 9.29533e-05, \"1456185600000\": 0.0001162416, \"1459987200000\": 9.07544e-05, \"1468195200000\": 8.34581e-05, \"1476748800000\": 0.0001179907, \"1476230400000\": 0.0001244375, \"1455580800000\": 0.0001162416, \"1470614400000\": 9.52022e-05, \"1453766400000\": 5.62717e-05, \"1453075200000\": 9.04545e-05, \"1463529600000\": 8.64066e-05, \"1469750400000\": 9.37029e-05, \"1460073600000\": 8.77559e-05, \"1458000000000\": 6.83157e-05, \"1477008000000\": 0.0001164415, \"1480377600000\": 0.0001529232, \"1470355200000\": 9.48024e-05, \"1458864000000\": 9.24535e-05, \"1456963200000\": 0.0001162416, \"1477526400000\": 0.0001122936, \"1466726400000\": 7.77609e-05, \"1476144000000\": 0.0001266863, \"1476921600000\": 0.0001160917, \"1470873600000\": 0.0001077459, \"1456790400000\": 0.0001162416, \"1465257600000\": 0.0001018488, \"1475193600000\": 0.0001236878, \"1457654400000\": 6.66665e-05, \"1464134400000\": 9.01047e-05, \"1456099200000\": 0.0001162416, \"1459123200000\": 8.27084e-05, \"1452124800000\": 8.47574e-05, \"1479254400000\": 0.0001278358, \"1460332800000\": 9.01047e-05, \"1480982400000\": 0.0001513739, \"1477612800000\": 0.0001160917, \"1459900800000\": 9.98498e-05, \"1457308800000\": 0.0001162416, \"1462752000000\": 8.47574e-05, \"1454457600000\": 5.45726e-05, \"1480464000000\": 0.0001491251, \"1455840000000\": 0.0001162416, \"1482105600000\": 0.0001248373, \"1469145600000\": 9.10542e-05, \"1454544000000\": 7.7711e-05, \"1455494400000\": 0.0001162416, \"1453248000000\": 7.60118e-05, \"1468886400000\": 9.48024e-05, \"1457049600000\": 0.0001162416, \"1460505600000\": 9.24535e-05, \"1470268800000\": 8.9505e-05, \"1478649600000\": 0.0001225384, \"1473379200000\": 0.0001263365, \"1469577600000\": 0.0001001497, \"1482710400000\": 0.0001145424, \"1460592000000\": 9.44525e-05, \"1470960000000\": 0.0001187403, \"1458691200000\": 0.000105547, \"1472515200000\": 0.0001202396, \"1461196800000\": 0.0001051971, \"1476835200000\": 0.000115342, \"1477267200000\": 0.0001229382, \"1473206400000\": 0.000123288, \"1465776000000\": 9.38029e-05, \"1456358400000\": 0.0001162416, \"1479686400000\": 0.000129385, \"1467244800000\": 8.87554e-05, \"1466985600000\": 7.88604e-05, \"1453939200000\": 5.35731e-05, \"1460419200000\": 8.84556e-05, \"1482883200000\": 0.0001084955, \"1457481600000\": 0.0001162416, \"1471305600000\": 0.0001316339, \"1472083200000\": 0.0001179907, \"1453420800000\": 6.83157e-05, \"1479168000000\": 0.0001274859, \"1466035200000\": 9.44525e-05, \"1459209600000\": 8.27084e-05, \"1466640000000\": 9.44525e-05, \"1464566400000\": 9.95e-05, \"1472169600000\": 0.0001179907, \"1462838400000\": 8.37579e-05, \"1463011200000\": 8.14091e-05, \"1463356800000\": 7.73611e-05, \"1457395200000\": 0.0001162416, \"1481846400000\": 0.0001301346, \"1480896000000\": 0.0001544224, \"1464739200000\": 0.000107546, \"1461715200000\": 9.65015e-05, \"1462924800000\": 8.27084e-05, \"1481500800000\": 0.0001616188, \"1466380800000\": 9.61517e-05, \"1467936000000\": 8.42077e-05, \"1469491200000\": 9.52022e-05, \"1470182400000\": 9.25535e-05, \"1452470400000\": 6.93152e-05, \"1457913600000\": 6.29684e-05, \"1467158400000\": 8.61067e-05}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "D0CB9C150CA94047B0904E6C46599D34",
     "input": "start = '2017-01-04'  # \u57282017\u5e741\u67084\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-01-04'    # \u57282017\u5e741\u67084\u65e5\u7ed3\u675f\u56de\u6d4b\nfreq = 'm'\nrefresh_rate = (1, 2)\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.now\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-04 09:30:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 09:32:00\n2017-01-04 09:34:00\n2017-01-04 09:36:00\n2017-01-04 09:38:00\n2017-01-04 09:40:00\n2017-01-04 09:42:00\n2017-01-04 09:44:00\n2017-01-04 09:46:00\n2017-01-04 09:48:00\n2017-01-04 09:50:00\n2017-01-04 09:52:00\n2017-01-04 09:54:00\n2017-01-04 09:56:00\n2017-01-04 09:58:00\n2017-01-04 10:00:00\n2017-01-04 10:02:00\n2017-01-04 10:04:00\n2017-01-04 10:06:00\n2017-01-04 10:08:00\n2017-01-04 10:10:00\n2017-01-04 10:12:00\n2017-01-04 10:14:00\n2017-01-04 10:16:00\n2017-01-04 10:18:00\n2017-01-04 10:20:00\n2017-01-04 10:22:00\n2017-01-04 10:24:00\n2017-01-04 10:26:00\n2017-01-04 10:28:00\n2017-01-04 10:30:00\n2017-01-04 10:32:00\n2017-01-04 10:34:00\n2017-01-04 10:36:00\n2017-01-04 10:38:00\n2017-01-04 10:40:00\n2017-01-04 10:42:00\n2017-01-04 10:44:00\n2017-01-04 10:46:00\n2017-01-04 10:48:00\n2017-01-04 10:50:00\n2017-01-04 10:52:00\n2017-01-04 10:54:00\n2017-01-04 10:56:00\n2017-01-04 10:58:00\n2017-01-04 11:00:00\n2017-01-04 11:02:00\n2017-01-04 11:04:00\n2017-01-04 11:06:00\n2017-01-04 11:08:00\n2017-01-04 11:10:00\n2017-01-04 11:12:00\n2017-01-04 11:14:00\n2017-01-04 11:16:00\n2017-01-04 11:18:00\n2017-01-04 11:20:00\n2017-01-04 11:22:00\n2017-01-04 11:24:00\n2017-01-04 11:26:00\n2017-01-04 11:28:00\n2017-01-04 11:30:00\n2017-01-04 13:02:00\n2017-01-04 13:04:00\n2017-01-04 13:06:00\n2017-01-04 13:08:00\n2017-01-04 13:10:00\n2017-01-04 13:12:00\n2017-01-04 13:14:00\n2017-01-04 13:16:00\n2017-01-04 13:18:00\n2017-01-04 13:20:00\n2017-01-04 13:22:00\n2017-01-04 13:24:00\n2017-01-04 13:26:00\n2017-01-04 13:28:00\n2017-01-04 13:30:00\n2017-01-04 13:32:00\n2017-01-04 13:34:00\n2017-01-04 13:36:00\n2017-01-04 13:38:00\n2017-01-04 13:40:00\n2017-01-04 13:42:00\n2017-01-04 13:44:00\n2017-01-04 13:46:00\n2017-01-04 13:48:00\n2017-01-04 13:50:00\n2017-01-04 13:52:00\n2017-01-04 13:54:00\n2017-01-04 13:56:00\n2017-01-04 13:58:00\n2017-01-04 14:00:00\n2017-01-04 14:02:00\n2017-01-04 14:04:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2017-01-04 14:06:00\n2017-01-04 14:08:00\n2017-01-04 14:10:00\n2017-01-04 14:12:00\n2017-01-04 14:14:00\n2017-01-04 14:16:00\n2017-01-04 14:18:00\n2017-01-04 14:20:00\n2017-01-04 14:22:00\n2017-01-04 14:24:00\n2017-01-04 14:26:00\n2017-01-04 14:28:00\n2017-01-04 14:30:00\n2017-01-04 14:32:00\n2017-01-04 14:34:00\n2017-01-04 14:36:00\n2017-01-04 14:38:00\n2017-01-04 14:40:00\n2017-01-04 14:42:00\n2017-01-04 14:44:00\n2017-01-04 14:46:00\n2017-01-04 14:48:00\n2017-01-04 14:50:00\n2017-01-04 14:52:00\n2017-01-04 14:54:00\n2017-01-04 14:56:00\n2017-01-04 14:58:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 9,
       "text": "'{\"information\": null, \"benchmark_cumulative_return\": {\"1483488000000\": 0.0078046763}, \"benchmark_annualized_return\": 5.98381, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": null, \"sharpe\": null, \"alpha\": null, \"volatility\": null, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483488000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "0E091D2D75AA4F098DDBD390899C8EBF",
     "input": "start = '2017-01-01'  # \u57282017\u5e741\u67081\u65e5\u5f00\u59cb\u56de\u6d4b\nend = '2017-02-01'    # \u57282017\u5e742\u67081\u65e5\u7ed3\u675f\u56de\u6d4b\nfreq = 'd'\nrefresh_rate = 1\n\naccounts = {\n\t'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n\tpass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n\taccount = context.get_account('fantasy_account')\n\n\tprint context.current_date\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-03 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2017-01-04 00:00:00\n2017-01-05 00:00:00\n2017-01-06 00:00:00\n2017-01-09 00:00:00\n2017-01-10 00:00:00\n2017-01-11 00:00:00\n2017-01-12 00:00:00\n2017-01-13 00:00:00\n2017-01-16 00:00:00\n2017-01-17 00:00:00\n2017-01-18 00:00:00\n2017-01-19 00:00:00\n2017-01-20 00:00:00\n2017-01-23 00:00:00\n2017-01-24 00:00:00\n2017-01-25 00:00:00\n2017-01-26 00:00:00\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 10,
       "text": "'{\"information\": -4.34404, \"benchmark_cumulative_return\": {\"1485388800000\": 0.0235281251, \"1483920000000\": 0.0162594208, \"1485302400000\": 0.0198856161, \"1484092800000\": 0.0073756503, \"1484697600000\": 0.0088469134, \"1483401600000\": 0.0097115448, \"1485129600000\": 0.0163138002, \"1484870400000\": 0.0135368289, \"1484265600000\": 0.002970018, \"1483574400000\": 0.0174340145, \"1484524800000\": 0.0028292359, \"1485216000000\": 0.0164255799, \"1483488000000\": 0.0175920166, \"1484179200000\": 0.0022787962, \"1484611200000\": 0.0049167981, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582, \"1484784000000\": 0.0058028791}, \"benchmark_annualized_return\": 0.38126, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1485388800000\": 0.0, \"1483920000000\": 0.0, \"1485302400000\": 0.0, \"1484092800000\": 0.0, \"1484697600000\": 0.0, \"1483401600000\": 0.0, \"1485129600000\": 0.0, \"1484870400000\": 0.0, \"1484265600000\": 0.0, \"1483574400000\": 0.0, \"1484524800000\": 0.0, \"1485216000000\": 0.0, \"1483488000000\": 0.0, \"1484179200000\": 0.0, \"1484611200000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0, \"1484784000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "A2146EA33B41446B896B6E523DF29C75",
     "input": "start = '2017-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-04'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['000001.XSHE']        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                          # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'fantasy_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n    account = context.get_account('fantasy_account')\n    print context.current_price('000001.XSHE')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "8.967"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "9.026\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 13,
       "text": "'{\"information\": -102.701, \"benchmark_cumulative_return\": {\"1483401600000\": 0.0097115448, \"1483488000000\": 0.0175920166}, \"benchmark_annualized_return\": 7.84528, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483401600000\": 0.0, \"1483488000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "A36BB504738148C8809820900A568AC1",
     "input": "start = '2017-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-04'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['000001.XSHE']        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                          # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'account_name': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n    account = context.get_account('account_name')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 14,
       "text": "'{\"information\": -102.701, \"benchmark_cumulative_return\": {\"1483401600000\": 0.0097115448, \"1483488000000\": 0.0175920166}, \"benchmark_annualized_return\": 7.84528, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483401600000\": 0.0, \"1483488000000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "AD1574D46F004881835E8C1F635FC2B1",
     "input": "start = '2017-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-03'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = DynamicUniverse('SH50')      # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                        # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'stock_account': AccountConfig(account_type='security', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n    account = context.get_account('stock_account')\n    print context.get_universe('stock', exclude_halt=True)\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "['600000.XSHG', '600016.XSHG', '600028.XSHG', '600029.XSHG', '600030.XSHG', '600036.XSHG', '600048.XSHG', '600050.XSHG', '600100.XSHG', '600104.XSHG', '600109.XSHG', '600111.XSHG', '600518.XSHG', '600519.XSHG', '600547.XSHG', '600637.XSHG', '600837.XSHG', '600887.XSHG', '600893.XSHG', '600958.XSHG', '600999.XSHG', '601006.XSHG', '601088.XSHG', '601166.XSHG', '601169.XSHG', '601186.XSHG', '601198.XSHG', '601211.XSHG', '601288.XSHG', '601318.XSHG', '601328.XSHG', '601336.XSHG', '601377.XSHG', '601390.XSHG', '601398.XSHG', '601601.XSHG', '601628.XSHG', '601668.XSHG', '601688.XSHG', '601766.XSHG', '601788.XSHG', '601800.XSHG', '601818.XSHG', '601857.XSHG', '601901.XSHG', '601985.XSHG', '601988.XSHG', '601989.XSHG', '601998.XSHG']"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 15,
       "text": "'{\"information\": null, \"benchmark_cumulative_return\": {\"1483401600000\": 0.0097115448}, \"benchmark_annualized_return\": 10.2029, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": null, \"sharpe\": null, \"alpha\": null, \"volatility\": null, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483401600000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": true,
     "has_detail": true,
     "id": "3494F591B6C54F2185B7AA2A238336D9",
     "input": "start = '2016-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-01'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['CU1610', 'IFL0']       # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'futures_account': AccountConfig(account_type='futures', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n    account = context.get_account('futures_account')\n    print context.get_universe('futures')\n    print context.get_universe('base_futures')\n    print context.get_universe('continuous_futures')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "['CU1610', 'IFL0']"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n['CU1610']\n['IFL0']\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n['CU1610']\n['IFL0']\n['CU1610', 'IFL0']\n['CU1610']\n['IFL0']\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
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\"1460332800000\": 0.0, \"1480982400000\": 0.0, \"1477612800000\": 0.0, \"1459900800000\": 0.0, \"1457308800000\": 0.0, \"1462752000000\": 0.0, \"1454457600000\": 0.0, \"1480464000000\": 0.0, \"1455840000000\": 0.0, \"1482105600000\": 0.0, \"1469145600000\": 0.0, \"1454544000000\": 0.0, \"1455494400000\": 0.0, \"1453248000000\": 0.0, \"1468886400000\": 0.0, \"1457049600000\": 0.0, \"1460505600000\": 0.0, \"1470268800000\": 0.0, \"1478649600000\": 0.0, \"1473379200000\": 0.0, \"1469577600000\": 0.0, \"1482710400000\": 0.0, \"1460592000000\": 0.0, \"1470960000000\": 0.0, \"1458691200000\": 0.0, \"1472515200000\": 0.0, \"1461196800000\": 0.0, \"1476835200000\": 0.0, \"1477267200000\": 0.0, \"1473206400000\": 0.0, \"1465776000000\": 0.0, \"1456358400000\": 0.0, \"1479686400000\": 0.0, \"1467244800000\": 0.0, \"1466985600000\": 0.0, \"1453939200000\": 0.0, \"1460419200000\": 0.0, \"1482883200000\": 0.0, \"1457481600000\": 0.0, \"1471305600000\": 0.0, \"1472083200000\": 0.0, \"1453420800000\": 0.0, \"1479168000000\": 0.0, \"1466035200000\": 0.0, \"1459209600000\": 0.0, \"1466640000000\": 0.0, \"1464566400000\": 0.0, \"1472169600000\": 0.0, \"1462838400000\": 0.0, \"1463011200000\": 0.0, \"1463356800000\": 0.0, \"1457395200000\": 0.0, \"1481846400000\": 0.0, \"1480896000000\": 0.0, \"1464739200000\": 0.0, \"1461715200000\": 0.0, \"1462924800000\": 0.0, \"1481500800000\": 0.0, \"1466380800000\": 0.0, \"1467936000000\": 0.0, \"1469491200000\": 0.0, \"1470182400000\": 0.0, \"1452470400000\": 0.0, \"1457913600000\": 0.0, \"1467158400000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "98257D85C12F48A794039B435522F9AC",
     "input": "start = '2017-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-10'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['000001.XSHE', 'IFM0']        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'stock_account': AccountConfig('security', capital_base=1e6),\n    'futures_account': AccountConfig('futures', capital_base=1e6)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):\n    stock_account = context.get_account('stock_account')\n    futures_account = context.get_account('futures_account')\n\n    if context.current_date.strftime('%Y-%m-%d') == '2017-01-05':\n        context.transfer_cash(origin=stock_account, target=futures_account, amount=1e5)\n        assert stock_account.cash, futures_account.cash == (900000, 1100000)\n        assert stock_account.portfolio_value + futures_account.portfolio_value == 2000000\n    if context.current_date.strftime('%Y-%m-%d') == '2017-01-06':\n        context.transfer_cash(origin=futures_account, target=stock_account, amount=2e5)\n        assert stock_account.cash, futures_account.cash == (1100000, 900000)\n        assert stock_account.portfolio_value + futures_account.portfolio_value == 2000000\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 17,
       "text": "'{\"information\": -6.36185, \"benchmark_cumulative_return\": {\"1483920000000\": 0.0162594208, \"1483401600000\": 0.0097115448, \"1483574400000\": 0.0174340145, \"1483488000000\": 0.0175920166, \"1483660800000\": 0.0113550091, \"1484006400000\": 0.0145588582}, \"benchmark_annualized_return\": 0.82622, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483920000000\": 0.0, \"1483401600000\": 0.0, \"1483574400000\": 0.0, \"1483488000000\": 0.0, \"1483660800000\": 0.0, \"1484006400000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "markdown",
     "id": "EBE3F36555BB46188875A515D6640FBE",
     "metadata": {},
     "source": [
      "5.3  \u671f\u8d27\u6a21\u677f\u5b9e\u4f8b\n",
      "---------------------------------"
     ]
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "24B1AB9E6556471F804EE4C669C5B09A",
     "input": "start = '2017-01-01'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2017-01-03'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['IFM0']                        # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'fantasy_account': AccountConfig(account_type='futures', capital_base=10000000)\n}\n\ndef initialize(context):                   # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\n    pass\n\ndef handle_data(context):                  # \u6838\u5fc3\u7b56\u7565\u903b\u8f91\n    account = context.get_account('fantasy_account')\n    print context.get_symbol('IFM0')\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "IF1701"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 18,
       "text": "'{\"information\": null, \"benchmark_cumulative_return\": {\"1483401600000\": 0.0097115448}, \"benchmark_annualized_return\": 10.2029, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": null, \"sharpe\": null, \"alpha\": null, \"volatility\": null, \"annualized_return\": 0.0, \"cumulative_return\": {\"1483401600000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "C2516845AD754DF2875915862CEBD2E3",
     "input": "start = '2016-01-15'                       # \u56de\u6d4b\u8d77\u59cb\u65f6\u95f4\nend = '2016-06-01'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['IFM0', \"SRM0\", \"RBM0\", \"TFM0\"]  # \u8bc1\u5238\u6c60\uff0c\u652f\u6301\u80a1\u7968\u3001\u57fa\u91d1\u548c\u671f\u8d27\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # 'd'\u8868\u793a\u4f7f\u7528\u65e5\u9891\u7387\u56de\u6d4b\uff0c'm'\u8868\u793a\u4f7f\u7528\u5206\u949f\u9891\u7387\u56de\u6d4b\nrefresh_rate = 1                           # \u6267\u884chandle_data\u7684\u65f6\u95f4\u95f4\u9694\n\naccounts = {\n    'futures_account': AccountConfig(account_type='futures', capital_base=10000000)\n}\n\ndef initialize(context):  # \u521d\u59cb\u5316\u7b56\u7565\u8fd0\u884c\u73af\u5883\u3002\n    pass\n\ndef handle_data(context):  # \u56de\u6d4b\u8c03\u4ed3\u903b\u8f91\uff0c\u6bcf\u4e2a\u8c03\u4ed3\u5468\u671f\u8fd0\u884c\u4e00\u6b21\uff0c\u53ef\u5728\u6b64\u51fd\u6570\u5185\u5b9e\u73b0\u4fe1\u53f7\u751f\u4ea7\uff0c\u751f\u6210\u8c03\u4ed3\u6307\u4ee4\u3002\n    futures_account = context.get_account(\"futures_account\")\n\n    for symbol in universe:\n        symbol_before, symbol_after = context.get_rolling_tuple(symbol)\n        if symbol_before != symbol_after:\n            print \"{0}: {1}->{2}\".format(context.current_date, symbol_before, symbol_after)\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-02-15 00:00:00: TF1603->TF1606"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2016-02-18 00:00:00: IF1602->IF1603"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-03-02 00:00:00: SR605->SR609\n2016-03-14 00:00:00: RB1605->RB1610"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\n2016-03-18 00:00:00: IF1603->IF1604"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-04-15 00:00:00: IF1604->IF1605\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-04-29 00:00:00: TF1606->TF1609\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-05-19 00:00:00: IF1605->IF1606\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 19,
       "text": "'{\"information\": 0.06788, \"benchmark_cumulative_return\": {\"1463443200000\": -0.0420745034, \"1455753600000\": -0.0521087383, \"1461801600000\": -0.0189317572, \"1459468800000\": 0.0001005721, \"1464307200000\": -0.0493771517, \"1464652800000\": -0.0161446077, \"1459382400000\": -0.0010811495, \"1464048000000\": -0.0490490509, \"1458604800000\": 0.0013096095, \"1453161600000\": 0.0004823734, \"1463097600000\": -0.0455169233, \"1461542400000\": -0.0184810454, \"1454284800000\": -0.099492763, \"1453334400000\": -0.0435272108, \"1458172800000\": -0.0302234531, \"1456704000000\": -0.1068124837, \"1462320000000\": -0.0037590356, \"1458259200000\": -0.0153986983, \"1458777600000\": -0.0123293884, \"1463961600000\": -0.0417026351, \"1463702400000\": -0.0444978552, \"1452816000000\": -0.0319226241, \"1453852800000\": -0.0903965798, \"1461888000000\": -0.0201224806, \"1461283200000\": -0.0144867209, \"1455667200000\": -0.0491223071, \"1460419200000\": -0.000968782, \"1458518400000\": 0.0086498171, \"1462492800000\": -0.0283144466, \"1462233600000\": -0.0024928831, \"1456444800000\": -0.0849088845, \"1453680000000\": -0.0287701249, \"1460937600000\": 0.0021362248, \"1460678400000\": 0.0157171765, \"1461110400000\": -0.0125854746, \"1454371200000\": -0.0807795327, \"1461024000000\": 0.0051937393, \"1462406400000\": -0.0023749283, \"1454025600000\": -0.0855113856, \"1463616000000\": -0.0493768413, \"1459296000000\": -0.0016439184, \"1458086400000\": -0.0408303899, \"1461628800000\": -0.0131643847, \"1456876800000\": -0.0528431625, \"1464220800000\": -0.048845734, \"1459814400000\": 0.0133211405, \"1457568000000\": -0.0646966961, \"1454630400000\": -0.0800174822, \"1456185600000\": -0.041038363, \"1459987200000\": -0.0038121153, \"1455580800000\": -0.0572813699, \"1453766400000\": -0.0872437702, \"1453075200000\": -0.0281980437, \"1463529600000\": -0.047658425, \"1460073600000\": -0.0111265591, \"1458000000000\": -0.0455650364, \"1458864000000\": -0.0073734212, \"1456963200000\": -0.0506426833, \"1456790400000\": -0.0902904204, \"1457654400000\": -0.0631018221, \"1464134400000\": -0.0503931157, \"1456099200000\": -0.0318797878, \"1459123200000\": -0.0160924592, \"1460332800000\": 0.0026462245, \"1459900800000\": 0.0111613247, \"1457308800000\": -0.0362341851, \"1462752000000\": -0.0484099217, \"1454457600000\": -0.0847201567, \"1455840000000\": -0.0527649398, \"1454544000000\": -0.0735079252, \"1455494400000\": -0.0853198641, \"1453248000000\": -0.0146490641, \"1457049600000\": -0.0396331479, \"1460505600000\": 0.0123579459, \"1460592000000\": 0.0168430247, \"1458691200000\": 0.0045074282, \"1461196800000\": -0.0189249282, \"1456358400000\": -0.0939979283, \"1453939200000\": -0.1141725574, \"1456272000000\": -0.0347737175, \"1457481600000\": -0.0464568374, \"1453420800000\": -0.0335575407, \"1459209600000\": -0.026745026, \"1464566400000\": -0.0480700255, \"1462838400000\": -0.0473244265, \"1457913600000\": -0.0483866412, \"1463356800000\": -0.0391926796, \"1457395200000\": -0.0353548005, \"1464739200000\": -0.0189423111, \"1461715200000\": -0.0172757329, \"1462924800000\": -0.0430727741, \"1463011200000\": -0.0407981075}, \"benchmark_annualized_return\": -0.05064, \"turnover_rate\": 0.0, \"max_drawdown\": 0.0, \"beta\": 0.0, \"sharpe\": null, \"alpha\": -0.035, \"volatility\": 0.0, \"annualized_return\": 0.0, \"cumulative_return\": {\"1463443200000\": 0.0, \"1455753600000\": 0.0, \"1461801600000\": 0.0, \"1459468800000\": 0.0, \"1464307200000\": 0.0, \"1464652800000\": 0.0, \"1459382400000\": 0.0, \"1464048000000\": 0.0, \"1458604800000\": 0.0, \"1453161600000\": 0.0, \"1463097600000\": 0.0, \"1461542400000\": 0.0, \"1454284800000\": 0.0, \"1453334400000\": 0.0, \"1458172800000\": 0.0, \"1456704000000\": 0.0, \"1462320000000\": 0.0, \"1458259200000\": 0.0, \"1458777600000\": 0.0, \"1463961600000\": 0.0, \"1463702400000\": 0.0, \"1452816000000\": 0.0, \"1453852800000\": 0.0, \"1461888000000\": 0.0, \"1461283200000\": 0.0, \"1455667200000\": 0.0, \"1460419200000\": 0.0, \"1458518400000\": 0.0, \"1462492800000\": 0.0, \"1462233600000\": 0.0, \"1456444800000\": 0.0, \"1453680000000\": 0.0, \"1460937600000\": 0.0, \"1460678400000\": 0.0, \"1461110400000\": 0.0, \"1454371200000\": 0.0, \"1461024000000\": 0.0, \"1462406400000\": 0.0, \"1454025600000\": 0.0, \"1463616000000\": 0.0, \"1459296000000\": 0.0, \"1458086400000\": 0.0, \"1461628800000\": 0.0, \"1456876800000\": 0.0, \"1464220800000\": 0.0, \"1459814400000\": 0.0, \"1457568000000\": 0.0, \"1454630400000\": 0.0, \"1456185600000\": 0.0, \"1459987200000\": 0.0, \"1455580800000\": 0.0, \"1453766400000\": 0.0, \"1453075200000\": 0.0, \"1463529600000\": 0.0, \"1460073600000\": 0.0, \"1458000000000\": 0.0, \"1458864000000\": 0.0, \"1456963200000\": 0.0, \"1456790400000\": 0.0, \"1457654400000\": 0.0, \"1464134400000\": 0.0, \"1456099200000\": 0.0, \"1459123200000\": 0.0, \"1460332800000\": 0.0, \"1459900800000\": 0.0, \"1457308800000\": 0.0, \"1462752000000\": 0.0, \"1454457600000\": 0.0, \"1455840000000\": 0.0, \"1454544000000\": 0.0, \"1455494400000\": 0.0, \"1453248000000\": 0.0, \"1457049600000\": 0.0, \"1460505600000\": 0.0, \"1460592000000\": 0.0, \"1458691200000\": 0.0, \"1461196800000\": 0.0, \"1456358400000\": 0.0, \"1453939200000\": 0.0, \"1456272000000\": 0.0, \"1457481600000\": 0.0, \"1453420800000\": 0.0, \"1459209600000\": 0.0, \"1464566400000\": 0.0, \"1462838400000\": 0.0, \"1457913600000\": 0.0, \"1463356800000\": 0.0, \"1457395200000\": 0.0, \"1464739200000\": 0.0, \"1461715200000\": 0.0, \"1462924800000\": 0.0, \"1463011200000\": 0.0}}'"
      }
     ],
     "trading_days": ""
    },
    {
     "cell_type": "strategy",
     "collapsed": false,
     "has_detail": true,
     "id": "E0E4C0DAA64543AA88F90CF6EC8A2114",
     "input": "start = '2016-12-15'                       # \u56de\u6d4b\u5f00\u59cb\u65f6\u95f4\nend = '2016-12-19'                         # \u56de\u6d4b\u7ed3\u675f\u65f6\u95f4\nuniverse = ['IFM0']                        # \u7b56\u7565\u671f\u8d27\u5408\u7ea6\nbenchmark = 'HS300'                        # \u7b56\u7565\u53c2\u8003\u57fa\u51c6\nfreq = 'd'                                 # \u8c03\u4ed3\u9891\u7387\nrefresh_rate = 1                           # \u8c03\u4ed3\u5468\u671f\n\naccounts = {\n    'futures_account': AccountConfig(account_type='futures', capital_base=1e9)\n}\n\ndef initialize(context):  # \u521d\u59cb\u5316\u865a\u62df\u671f\u8d27\u8d26\u6237\u3002\n    pass\n\ndef handle_data(context):  # \u56de\u6d4b\u8c03\u4ed3\u903b\u8f91\uff0c\u6bcf\u4e2a\u8c03\u4ed3\u5468\u671f\u8fd0\u884c\u4e00\u6b21\u3002\n    print context.current_date\n    futures_account = context.get_account('futures_account')\n    current_date = context.current_date.strftime('%Y-%m-%d')\n    \n    if current_date == '2016-12-15':\n        symbol_before, symbol_after = context.get_rolling_tuple('IFM0')\n        print symbol_before, symbol_after\n        futures_account.order(symbol_after, 3, 'open')\n        print futures_account.position\n    elif current_date == '2016-12-16':\n        symbol_before, symbol_after = context.get_rolling_tuple('IFM0')\n        print symbol_before, symbol_after\n        futures_account.switch_position(symbol_before, symbol_after)\n        print futures_account.position\n    elif current_date == '2016-12-19':\n        symbol_before, symbol_after = context.get_rolling_tuple('IFM0')\n        print symbol_before, symbol_after\n        print futures_account.position\n",
     "language": "python",
     "metadata": {},
     "outputs": [
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-12-15 00:00:00"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "\nIF1612 IF1612\n{}\n"
      },
      {
       "output_type": "stream",
       "stream": "stdout",
       "text": "2016-12-16 00:00:00\nIF1612 IF1701\n{'IF1612': {'short_cost': 0.0, 'long_amount': 3.0, 'short_margin': 0.0, 'profit': -32760.0, 'today_profit': 0.0, 'long_cost': 3364.0, 'long_margin': 1197936.0, 'short_amount': 0.0}}\n2016-12-19 00:00:00\nIF1701 IF1701\n{'IF1701': {'short_cost': 0.0, 'long_amount': 3.0, 'short_margin': 0.0, 'profit': 9000.0, 'today_profit': 0.0, 'long_cost': 3306.0, 'long_margin': 1193760.0, 'short_amount': 0.0}}\n"
      },
      {
       "metadata": {},
       "output_type": "pyout",
       "prompt_number": 20,
       "text": "'{\"information\": 11.95069, \"benchmark_cumulative_return\": {\"1482105600000\": -0.014786272, \"1481846400000\": -0.0097409103, \"1481760000000\": -0.0113973444}, \"benchmark_annualized_return\": -0.71102, \"turnover_rate\": 0.0, \"max_drawdown\": 4e-05, \"beta\": 0.00322, \"sharpe\": -114.35755, \"alpha\": -0.03594, \"volatility\": 0.00034, \"annualized_return\": -0.00334, \"cumulative_return\": {\"1482105600000\": -4.0167e-05, \"1481846400000\": -2.3607e-05, \"1481760000000\": -3.28296e-05}}'"
      }
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     "trading_days": ""
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     "id": "E229435425914B078F1F7EB39A15AC72",
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 ]
}